In Episode 1x11, "The Beautiful, Mysterious Thief, Rouge", the titular bat is stopped by E70-Noizi. How? It loudly broadcasts the sounds of children crying for help. It's quite unsettling, especially with the mic on the machine constantly glitching out the words. Also, dirty Eggman looks creepy.
Episode 1x17 "The Adventures of Knuckles and Hawk": Knuckles getting electrocuted by E-91 and screaming in pain while flashback cuts show the fallen Master Emerald shrine during a thunderstorm. His screams of pain don't help either.
Episode 1x19 "Sonic's Scream Test":
With those bloodshot multicolored eyes and razor-sharp fangs, the ghosts from that episode definitely wouldn't be out of place in a horror film.
Vanilla and Lindsey, Cream and Chris's respective mothers, end up possessed like Amy in the comics. Luckily, Cream, Cheese, and Chris helped the ghosts with their problem in order to free them. But seeing your loved ones with those faces is terrifying.
When the director says that she had him worried. Lindsey asks why. The police explains that nobody has ever escaped from the ghosts before. Chris then asks about the ghosts to the police officer who explains a rumor that the place they are at sits on an ancient burial ground and that the original owner built the castle there. When the owner heard about the legend about ghosts living there, he laughed and said that they were nonsense. The man disappeared after the first night he stayed there, never to be seen again. The final thing the viewers see is two ghosts in one of the upper-story windows laughing.
Episode 2x1 "Pure Chaos": We see Eggman's iconic method of placing animals into his badniks while they are still conscious, frantically screaming and trying to get out. Granted the blow is lessened when you realize the badnik is E-102Gamma, but it's still rather horrifying...
For some people, Dark Super Sonic. OH YEAH, The. Dark. Super. Sonic. You know all that fanart depicting a black Super Sonic with whited-out eyes and an indigo/black aura? Yeah, this is where they originated from. Even Eggman was worried and unsettled about it, to the point of having to talk Sonic down from going further. For all he knew, Dark Super Sonic might've gone on to kill the rest of them. This may have only lasted for a few seconds, but it left such a mark on the fanbase because of how dark and unexpected it was.
Look at the shot just before he ravages the golden Metarex. Imagine having a pitch-black Berserker rushing at you from behind a wall of smoke.
In the English dub, Sonic's voice doesn't change too much aside from sounding very pissed about what happened to Chris and Cosmo. In the Japanese Dub, however, Sonic's voice turns dark very quick. After seeing a terrified Cosmo and unconscious Chris, his voice trembles with shock at first, but it soon becomes silently indignant. And when the carnage begins, he screams bloody murder as he rips the robots apart. The English dub also has Sonic chuckling crazily before he launches his Curb-Stomp Battle.
There's an interesting note in the music in the English dub. In the shot where we see Dark Sonic's Slasher Smile, what sounds like Shadow's jingle plays behind his voice. There's something to be said about the All-Loving Hero borrowing the tune of such an edgy Anti-Villain.
Sonic's dialogue after destroying the two Metarex is different in both dubs, each conveying a different shade of Ax-Crazy.
Special mention still goes out to the very first form - a three-headed dragon that is basically a fusion of the three surviving Metarex generals that, near the end of episode 75, practically ate Sonic alive. He does escape, but still...
Its second form is a giant seed that can very slowly drain life energy and feed it to plants, making them grow as tall as mountains. And it can even control plants as seen when it uses vines to grab Cosmo, who is immune to the energy draining waves.
Its final form is a giant ball of energy with a gravitational pull so strong, it would have imploded and take the whole galaxy with it.
Episode 60 had an eerie tone to it, even going so far as to have one giant creepy eyeball watching over Sonic, Knuckles, and Amy through most of the episode, and the disembodied Scary Teeth floating in the air near the end. What's even creepier was that the "scary" castle they were in for the whole episode was indeed self-sentient. Granted, it WAS just a Metarex, but still...
Episode 73. It's basically Shadow hunting down Cosmo for the most part and if you're familiar with his strength, speed, and capabilities, then you know for sure you can't stop him from causing harm even if you tried. In fact, this is exactly what the Sonic cast was doing only to get pushed aside so easily. Of course, at the end of the episode, the crew was able to stop Shadow from running off away with Cosmo... but still the thought of the Ultimate Life Form trespassing in your headquarters with the intent of harming you or a best friend'' is fear-incarnated. The worst part? They finally get Shadow off the vessel, via using the Sonic Driver cannon. They think they're safe... and then Shadow arrives again. It's just due to coincidence that he didn't murder the entire crew.
The next episode has some incredibly unsettling reveals - At first we have minor things, like Cosmo turning out to belong to the same species as the Metarex, but then things go downhill really fast - namely, the backstory of Dark Oak/Lucas — his home planet was basically stuck in a never-ending war against an unknown threat note (though heavily rumored to be the Black Arms aliens, seeing as Series 2/ Season 3 was adapting the recently released Shadow the Hedgehog at the time), with many of his fellow Seedrians either getting killed off en masse, or dying from overexertion after entering their Final Form — the latter seemingly being even more threatening, because even children were entering their Final Forms despite knowing what consequences it will bring. As a result, the leader of the Seedrians (the implied name of Cosmo's species), Earthia (who was also Lucas' wife and the mother of Cosmo and Galaxina and was the likely inventor of the Seedrain amulet that the female members wear on their dresses to prevent themselves from entering their adult forms and dying prematurely) decides that the Seedrians must abandon their home planet, while Lucas insisted that the Seedrians stay behind and fight, and as a result, the Seedrians would ultimately split into two factions -= Earthia's followers (seemingly all female), who decided to abandon the doomed planet and flee the fight, and Lucas' followers (likely all male), who decided to fight no matter what to save their home. Eventually, all of the vegetation on the planet begins to quickly die out - a result of Lucas harvesting the planet's life energy, all for the purpose of using it to stabilize the Seedrians' Final Forms to prevent themselves from dying in said form. Needless to say, Earthia wasn't very pleased with this, which results in the conflict between the two Seedrain factions escalating even further, to the point where, even after the war was over, Earthia ordered to nuke the planet before she and her followers left the planet, so that no survivors whatsoever will be left. Unfortunately for her, Lucas' followers and Lucas himself had survived, and later became the Metarex. So, in short, in that episode alone, we have a both unwilling and unwitting betrayal, a chilling possibility of an innocent eight-year old ending up in an And I Must Scream scenario, and a villain backstory that involves both interplanetary and civil war, planetary-scale environmental abuse, child soldiers sacrificing their own lives by turning into their Final Forms, and an attempted genocide by usage of nuclear weapons. All of which was after watching a short, child-friendly Slasher Movie starring a three-foot black hedgehog.
Knuckles punching Yellow Zelkova so hard that the spikes on his hands break off, followed by both combatants screaming in pain.
The annihilation of Station Square under Perfect Chaos' floodwaters is fully animated in a much longer sequence than Sonic Adventure's cutscenes.
Gerald Robotnik's Execution is also in. This time, you actually hear the shot being taken! It's not shown onscreen, but the characters themselves get to see it, and you can see their horrified faces.
The 4Kids dub actually manages to make it more terrifying. No command is given to the firing squad, but you can still hear the gun fire off as he's speaking! This implies Gerald was so mentally broken he either didn't react to being shot or no longer cared he was about to die. Granted in all likelihood 4Kids simply forgot to edit out the sounds of the gun being loaded and the shot, it doesn't make the end result any less chilling.
Leon and his fellow resistance fighters are dying by being infused into trees, much to Shadow and Rouge's horror. Even the normally stoic Shadow cannot even look.